A note on first passage probabilities of a Lévy process reflected at a general barrier

Abstract

A NOTE ON FIRST PASSAGE PROBABILITIES OF A LÉVY PROCESS REFLECTED AT A GENERAL BARRIERIn this paper we analyze a Lévy process reflected at a general possibly random barrier. For this process we prove the Central Limit Theorem for the first passage time. We also give the finite-time first passage probability asymptotics.